Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0225 |
| Annualized Std Dev | 0.1956 |
| Annualized Sharpe (Rf=0%) | 0.1153 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5585.0000 |
| NAs | 1.0000 |
| Minimum | -0.1484 |
| Quartile 1 | -0.0047 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0060 |
| Maximum | 0.1223 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | -1.2629 |
| Kurtosis | 18.4539 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0081 |
| Loss Deviation | 0.0109 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0093 |
| Downside Deviation (0%) | 0.0093 |
| Maximum Drawdown | 0.7329 |
| Historical VaR (95%) | -0.0179 |
| Historical ES (95%) | -0.0308 |
| Modified VaR (95%) | -0.0196 |
| Modified ES (95%) | -0.0503 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-09-05 | 2009-03-09 | NA | -0.7329 | 5165 | 2136 | NA |
| 2000-03-29 | 2000-04-17 | 2000-06-27 | -0.1489 | 63 | 14 | 49 |
| 1999-07-07 | 1999-10-21 | 1999-11-08 | -0.0901 | 88 | 76 | 12 |
| 1999-02-05 | 1999-03-02 | 1999-05-03 | -0.0833 | 60 | 17 | 43 |
| 2000-07-21 | 2000-08-03 | 2000-08-17 | -0.0756 | 20 | 10 | 10 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.5 | -0.8 | 0.3 | -1.5 | 0.2 | -1.1 | -0.5 | 0.2 | 1.2 | 1.9 | -0.7 | 0.9 | -0.3 |
| 2000 | 1.3 | 0.2 | -0.2 | 3.1 | 1.9 | 0.5 | -0.5 | 2 | 0 | -1.3 | 0 | 0.9 | 8.2 |
| 2001 | -0.2 | -0.5 | 0 | 1.2 | -0.1 | 0.7 | 0.3 | 0.9 | -1.7 | 0.6 | 0.4 | -0.3 | 1.4 |
| 2002 | -0.4 | 2.2 | 0 | 0 | 1.7 | -1.6 | -1.5 | -0.5 | 2.5 | 1.4 | -0.3 | -0.7 | 2.9 |
| 2003 | -0.6 | -0.1 | 0.4 | 0.1 | 1.9 | 0.2 | 0.2 | 0.4 | 1.1 | 0.9 | 0.6 | 0.6 | 5.7 |
| 2004 | 0 | 0.7 | 0.2 | 0.7 | 1.9 | -1.1 | 0 | -0.2 | 0.2 | -1.4 | 1.2 | 0.4 | 2.6 |
| 2005 | 0.2 | 0.9 | -0.5 | 0.6 | 0.2 | -0.4 | -0.5 | 0.4 | -0.2 | -0.2 | 1.7 | -0.3 | 2 |
| 2006 | -0.3 | 0.8 | 0 | -0.6 | 1.4 | 0.7 | -0.5 | 0.7 | 0.2 | 0.2 | 0.2 | -0.3 | 2.4 |
| 2007 | 0.4 | -1.2 | -0.1 | -0.6 | 0.2 | -0.1 | -1.2 | 0.9 | 1.2 | -0.9 | 1.6 | 1.8 | 2 |
| 2008 | 1.3 | -1.5 | 1.8 | 1 | 0 | -0.7 | 0.3 | -0.3 | 0.4 | 1.6 | -5.5 | 2.9 | 1 |
| 2009 | -2.2 | -1.2 | 0.5 | -0.9 | 3.2 | 1 | 0.1 | -2.1 | -2.2 | -2.1 | 0.9 | 0.1 | -5.1 |
| 2010 | 0.6 | 1 | 0.1 | -0.6 | -1 | -1 | 0.3 | 1.6 | 0.2 | 0.2 | 1.1 | 0.1 | 2.6 |
| 2011 | 1.7 | -0.1 | 0.7 | 1.3 | -1.3 | 1.1 | -2.4 | -0.6 | -1.6 | -3.5 | -0.1 | 0.3 | -4.5 |
| 2012 | 0.6 | 0 | 0.4 | 0.6 | -1.5 | 1.9 | 0.1 | 0.7 | -0.1 | 1.2 | 0.2 | 4 | 8.3 |
| 2013 | 0.6 | 0.2 | -0.9 | -1.2 | -0.6 | 0.7 | 0.9 | -0.4 | 1.3 | -0.2 | 0.4 | 0 | 0.8 |
| 2014 | -0.3 | -0.1 | 0.4 | 0.3 | 0.4 | 0.5 | -0.8 | 0.4 | -1 | 1.8 | -0.5 | -0.2 | 0.7 |
| 2015 | -0.1 | 0.4 | -0.5 | -0.1 | 0.1 | 0 | -0.4 | -2.3 | -0.3 | 0.2 | 1.1 | -0.1 | -2.1 |
| 2016 | 0.3 | 1.9 | 0.3 | -0.4 | 0.4 | 0 | 0.1 | 0 | 1 | -0.3 | -0.8 | 0.4 | 2.9 |
| 2017 | -0.3 | 1 | -0.1 | -1.5 | -0.1 | -0.1 | 0.5 | 0.2 | 0.2 | -0.1 | -0.9 | -0.4 | -1.5 |
| 2018 | 0 | -1.2 | 0.5 | 0.2 | 0.9 | 2.2 | 0.8 | 0 | 0.2 | 0.5 | 1.7 | 1 | 6.9 |
| 2019 | 0.3 | 0.2 | 0.7 | -0.3 | -0.9 | 1 | -0.5 | 1.1 | -1 | 0.8 | 0.3 | -0.6 | 1.2 |
| 2020 | -2 | -1.9 | -3.8 | -2.6 | 0.8 | -0.2 | 0.4 | 0.1 | 0.9 | -0.8 | 1 | 1.5 | -6.5 |
| 2021 | 0.7 | 1.3 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
